He was at a mansion in Attotabad in Pakistan. I've read they were sitting down to dinner, though that might be from some sitcom my mind is muddled right now. Not sure how many AKs they had laying around near the dinner table.
edit: Shit, someone gave me neg rep for hinting that Osama is still alive and that this was a CIA cover-plot. I might be on to something. If I suddenly stop posting forever, remember me well.